Version: 8.6.10.4

TheoExpiryPtSkew

TheoExpiryPtSkew records carry the skew curve of a TheoExpirySurface record with the same key (ekey + theoModel + clientFirm) as x/y points, used when the surface's skewSource = PtSkew. The client defines both axes: xType says what x measures (strike or a form of moneyness), yType says what y is (an absolute vol, a ratio to the surface theoVol, or a difference from it). A moneyness x axis moves with the forward and is therefore sticky delta by construction; a Strike x axis is sticky strike. The forward uses the surface's theoRate and theoSDiv. The resolver sorts the points by x; duplicate x values, fewer than two points (four for Spline) or more than 201 points make the surface hold rather than truncate.

METADATA

Attribute	Value
Topic	1945-client-theos
MLink Token	ClientTheo
Product	SRTheo
accessType	SELECT,UPDATE,INSERT,DELETE
MLink Endpoint	MLink-Live

Table Definition

Field	Type	Key	Default Value	Comment
ekey_at	enum - AssetType	PRI	'None'	expiry this curve belongs to ticker expiration must match the TheoExpirySurface key
ekey_ts	enum - TickerSrc	PRI	'None'	expiry this curve belongs to ticker expiration must match the TheoExpirySurface key
ekey_tk	VARCHAR(12)	PRI	''	expiry this curve belongs to ticker expiration must match the TheoExpirySurface key
ekey_yr	SMALLINT UNSIGNED	PRI	0	expiry this curve belongs to ticker expiration must match the TheoExpirySurface key
ekey_mn	TINYINT UNSIGNED	PRI	0	expiry this curve belongs to ticker expiration must match the TheoExpirySurface key
ekey_dy	TINYINT UNSIGNED	PRI	0	expiry this curve belongs to ticker expiration must match the TheoExpirySurface key
theoModel	VARCHAR(16)	PRI	''	client theo model name must match the TheoExpirySurface key
clientFirm	VARCHAR(16)	PRI	''	client firm this theo model is associated with controls visibility
ticker_at	enum - AssetType		'None'	underlier ticker same as ekeyticker kept for filtering and joins
ticker_ts	enum - TickerSrc		'None'	underlier ticker same as ekeyticker kept for filtering and joins
ticker_tk	VARCHAR(12)		''	underlier ticker same as ekeyticker kept for filtering and joins
xType	enum - TheoXType		'None'	Strike x is a strike SimpleMoney strike fwd 1 RTMoney SimpleMoney sqrtyears VolRTMoney SimpleMoney axisVol sqrtyears LogStdMoney lnstrike fwd axisVol sqrtyears
yType	enum - TheoYType		'None'	Vol y is a volatility AtmRatio y the surface level theoVol after its vol path and SR blend AtmDiff level y
axisVol	FLOAT		-99	scaling vol for VolRTMoney and LogStdMoney 99 the surface level
interp	enum - TheoInterp		'Spline'	interpolation between points Spline needs four or more points or Linear two or more
extrap	enum - TheoExtrap		'Flat'	beyond the first and last point Flat holds the end value Extend continues the end slope
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	timestamp of last modification the surfaces maxAgeDays applies to the older of the two timestamps
PointList	JSON		'JSON_ARRAY()'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ekey_tk	1
ekey_yr	2
ekey_mn	3
ekey_dy	4
ekey_at	5
ekey_ts	6
theoModel	7
clientFirm	8

JSON Block (PointList)

Field	Type	Comment
x	enum - x	x coordinate in xType units
y	enum - y	y value in yType units

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRTheo`.`MsgTheoExpiryPtSkew`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ekey_at` = 'NONE'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ekey_ts` = 'NONE'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk` = 'Example_ekey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy` = 1
  AND
    /* Replace with a VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

UPDATE TABLE EXAMPLE QUERY

UPDATE `SRTheo`.`MsgTheoExpiryPtSkew` 
SET
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ticker_at` = 'NONE',
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ticker_ts` = 'NONE',
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk',
    /* Replace with a ENUM('None','Strike','SimpleMoney','RTMoney','VolRTMoney','LogStdMoney') */ 
    `xType` = 'NONE',
    /* Replace with a ENUM('None','Vol','AtmRatio','AtmDiff') */ 
    `yType` = 'NONE',
    /* Replace with a FLOAT */
    `axisVol` = 1.23,
    /* Replace with a ENUM('None','Spline','Linear') */
    `interp` = 'NONE',
    /* Replace with a ENUM('None','Flat','Extend') */
    `extrap` = 'NONE',
    /* Replace with a DATETIME(6) */
    `timestamp` = '2022-01-01 12:34:56.000000',
    /* Replace with a JSON */
    `PointList` = '{"key": "value"}'
WHERE
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ekey_at` = 'NONE'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ekey_ts` = 'NONE'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk` = 'Example_ekey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy` = 1
  AND
    /* Replace with a VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

INSERT TABLE EXAMPLE QUERY

INSERT INTO `SRTheo`.`MsgTheoExpiryPtSkew`(
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ekey_at`,
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ekey_ts`,
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk`,
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr`,
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn`,
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy`,
    /* Replace with a VARCHAR(16) */ 
    `theoModel`,
    /* Replace with a VARCHAR(16) */ 
    `clientFirm`,
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ticker_at`,
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ticker_ts`,
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk`,
    /* Replace with a ENUM('None','Strike','SimpleMoney','RTMoney','VolRTMoney','LogStdMoney') */ 
    `xType`,
    /* Replace with a ENUM('None','Vol','AtmRatio','AtmDiff') */ 
    `yType`,
    /* Replace with a FLOAT */
    `axisVol`,
    /* Replace with a ENUM('None','Spline','Linear') */
    `interp`,
    /* Replace with a ENUM('None','Flat','Extend') */
    `extrap`,
    /* Replace with a DATETIME(6) */
    `timestamp`,
    /* Replace with a JSON */
    `PointList`
) 
VALUES(
    'NONE',
    'NONE',
    'Example_ekey_tk',
    123,
    1,
    1,
    'Example_theoModel',
    'Example_clientFirm',
    'NONE',
    'NONE',
    'Example_ticker_tk',
    'NONE',
    'NONE',
    1.23,
    'NONE',
    'NONE',
    '2022-01-01 12:34:56.000000',
    '{"key": "value"}'
);

DELETE TABLE EXAMPLE QUERY

DELETE FROM `SRTheo`.`MsgTheoExpiryPtSkew` 
WHERE
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ekey_at` = 'NONE'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ekey_ts` = 'NONE'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk` = 'Example_ekey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy` = 1
  AND
    /* Replace with a VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

Doc Columns Query

SELECT * FROM SRTheo.doccolumns WHERE TABLE_NAME='TheoExpiryPtSkew' ORDER BY ordinal_position ASC;

METADATA​

Table Definition​

PRIMARY KEY DEFINITION (Unique)​

JSON Block (PointList)​

SELECT TABLE EXAMPLE QUERY​

UPDATE TABLE EXAMPLE QUERY​

INSERT TABLE EXAMPLE QUERY​

DELETE TABLE EXAMPLE QUERY​

Doc Columns Query​